Research

Pérez, J.L., Rodosthenous, N., Yamazaki, K. Non-zero-sum optimal stopping game with continuous versus periodic observations, forthcoming in Mathematics of Operations Research. (arXiv:2107.08243)

González Casanova, A., Kurt, N., Pérez, J. L. The ancestral selection graph for a 𝛬-asymmetric Moran model, forthcoming in Theoretical Population Biology. (arXiv:2306.00130)

Davini, A., Iturriaga, R.,  Pardo, J. C., Pérez, J. L.,  Sanchez Morgado, H. Discrete approximation of stochastic Mather measures, forthcoming in Proceedings of the American Mathematical Society.

Pérez, J.L., Yamazaki, K. Lévy bandits under Poissonian decision times, forthcoming in MATRIX Annals. (arXiv:2301.07798)

González Casanova, A., Nuñez, I., Pérez, J. L. Alpha-stable branching and beta-frequency processes, beyond the IID assumption. Electronic Communications in Probability, 29, 2024, 1-12. (arXiv:2303.05477)

Caballero, M. E., González Casanova, A., Pérez, J. L. The relative frequency between two continuous-state branching processes with immigration and their genealogy. The Annals of Applied Probability, 34(1B), 2024, 1271-1318. (arXiv:2010.00742)

Gumenyuk, P., Hasebe, T., Pérez, J. L. Loewner Theory for Bernstein Functions I: Evolution Families and Differential Equations. Constr Approx, 2024. (arXiv:2206.04753)

Mata López, Moreno-Franco H. A., D., K. Noba, J. L. Perez. On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes.  Nonlinear Anal. Hybrid Syst. 48, 2023, Paper No. 101332. (arXiv:2207.01126) 

Malecki, J., Pérez, J. L. Universality classes for general random matrix flows. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 58(2), 2022 722-754. (arXiv:1901.02841)

Mata López, D., Pérez, J.L., Yamazaki, K. Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: Continuous- and periodic-observation models. SIAM Journal on Financial Mathematics, 12(3), 2021, 1112-1149. (arXiv:2008.10651)

Christen, J.A., Pérez-Garmendia, J.L. Weak and TV consistency in Bayesian uncertainty quantification using disintegration. Bol. Soc. Mat. Mex. 27, 2, 2021. 

González Casanova A., Pardo J.C., Pérez J. L. Branching processes with interactions: subcritical cooperative regime. Advances in Applied Probability, 53(1), 2021, 251-278. (arXiv:1704.04203)

Fekete, D., Palau, S., Pardo, J.C., Pérez, J. L. Backbone Decomposition of Multitype Superprocesses. J Theor Probab 34, 2021, 1149–1178. (arXiv:1803.09620)

Palmowski, Z., Pérez, J.L., Yamazaki, K. Double continuation regions for American options under Poisson exercise opportunities. Mathematical Finance, 31(2), 2021, 722-771. (arXiv:2004.03330)

K. Noba, J. L. Perez, X. Yu. On the bail-out dividend problem for spectrally negative Markov additive models. SIAM J. Control Optim. 58 no. 2, 2020,  1049--1076. (arXiv:1901.03021)

Bensoussan, A., Pérez, J.L., Yamazaki, K. Optimal periodic replenishment policies for spectrally positive Levy demand processes. SIAM Journal on Control and Optimization, 58(6), 2020, 3428-3456. (arXiv:1806.09216).

Palmowski, Z., Pérez, J.L., Surya, B., Yamazaki, K. The Leland-Toft optimal capital structure model under Poisson observations. Finance and Stochastics, 24, 2020, 1035-1082. (arXiv:1904.03356).

Pérez, J.L., Yamazaki, K. Optimality of hybrid continuous and periodic barrier strategies in the dual model. Applied Mathematics and Optimization, 82, 2020, 105-133. (arXiv:1612.02444).

Jaramillo, A., Pardo, J.C., Pérez, J. L. Convergence of the empirical spectral distribution of Gaussian matrix-valued processes. Electron. J. Probab. 24, 2019. (arXiv:1801.02111).

Hernández-Hernández D., Moreno-Franco H. A., Pérez J. L. Periodic strategies in optimal execution with multiplicative price impact. Mathematical Finance, 29, 2019, 1039–1065. (arXiv:1705.00284).

Junca M, Moreno-Franco H. A. , Pérez J. L. Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint. Risks, 7(1),  2019, 13. (arXiv:1808.02182).

Avram F, Pérez J. L. A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems. Risks, 7(4), 2019, 117. (arXiv:2103.09349).

Junca, M., Moreno-Franco, H., Pérez, J.L., Yamazaki, K. Optimality of refraction strategies for a constrained dividend problem. Advances in Applied Probability, 51(3), 2019, 633-666. (arXiv:1803.08492).

Czarna, I., Pérez, J.L., Rolski, T., Yamazaki, K. Fluctuation theory for level dependent Levy risk processes. Stochastic Processes and their Applications, 129(12), 2019, 5406-5449. (arXiv:1712.00050).

Pérez, J.L., Yamazaki, K., Yu, X. The bail-out optimal dividend problem under the absolutely continuous condition. Journal of Optimization Theory and Applications, 179(2), 2018, 553-568. (arXiv:1709.06348).

Pardo, J.C., Pérez, J. L., Rivero, V. M. The excursion measure away from zero for spectrally negative Lévy processes. Ann. Inst. H. Poincaré Probab. Statist. 54(1), 2018, 75-99. (arXiv:1507.05225).

Czarna, I., Pérez, J.L., Yamazaki, K. Optimality of multi-refraction dividend strategies in the dual model. Insurance: Mathematics and Economics, 83, 2018, 148-160. (arXiv:1803.06038).

Pérez, J.L., Yamazaki, K. Mixed Periodic-classical barrier strategies for Levy risk Processes. Risks, 6(2), 2018, 33. (arXiv:1609.01671).

Noba, K., Pérez, J.L., Yamazaki, K., Yano, K. On optimal periodic dividend strategies for Lévy risk processes. Insurance: Mathematics and Economics, 80, 2018, 29-44. (arXiv:1708.01678).

K. Noba, J. L. Perez, K. Yamazaki, K. Yano. On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models. J. Appl. Probab. 55 (2018), no. 4, 1272--1286. (arXiv:1801.00088) 

Pérez, J.L., Yamazaki, K. American options under periodic exercise opportunities. Statistics  and Probability Letters, 135, 2018, 92-101. (arXiv:1708.04163).

Caballero, M. E., Perez, J. L., Uribe Bravo, G. Affine processes on R_+^mxR^n and multiparameter time changes. Ann. Inst. H. Poincaré Probab. Statist. 53(3), 2017, 1280-1304.  (arXiv:1501.03122).

Pérez, J.L., Yamazaki, K. On the Optimality of Periodic Barrier Strategies for a Spectrally Positive Levy Process. Insurance: Mathematics and Economics, 77, 2017, 1-13. (arXiv:1604.07718).

Avram, F., Pérez, J.L., Yamazaki, K. Spectrally Negative Levy Processes with Parisian Reflection Below and Classical Reflection Above. Stochastic Processes and their Applications, 128(1), 2018, 255-290. (arXiv:1604.01436).

Pérez, J.L., Yamazaki, K. On the Refracted-Reflected Spectrally Negative Lévy Processes. Stochastic Processes and their Applications, 128(1), 2018, 306-331. (arXiv:1511.06027).

Murillo-Salas A, Pérez J. L., Siri-Jégousse. Refracted continuous-state branching processes: Self-regulating populations. Statistics and Probability Letters 123, 2017, 34-44. (arXiv:1511.03972).

Pérez, J.L., Yamazaki, K. Refraction-reflection strategies in the dual model. Astin Bull. 47 (1), 2017, 199–238. (arXiv:1511.07918).

Avanzi, , Pérez, J.L., Wong, B., Yamazaki, K. On the joint reflective and refractive dividend strategies in spectrally positive Lévy Models. Insurance Math. Econom. 72, 2017, 148–162. (arXiv:1607.01902).

Pardo, J.C., Pérez, J. L., Pérez-Abreu, V. A. On the non-commutative fractional Wishart process. J. Funct. Anal. 272, 2017, no. 1, 339362. (arXiv:1504.05079).

Hernández-Hernández, D., Pérez, J. L., Yamazaki, K. Optimality of Refraction Strategies for Spectrally Negative Lévy Processes. SIAM J. Control Optim., 54, 2016, pp. 1126--1156. (arXiv:1504.03496).

Pardo, J.C., Pérez, J. L., Pérez-Abreu, V. A. Random Matrix Approximation for the Non-commutative Fractional Brownian Motion. J Theor Probab 29, 2016, 1581–1598. (arXiv:1409.8532).

Baurdoux, E. J., Pardo, J. C., Pérez, J. L.,  Renaud, J.-F. Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes. Journal of Applied Probability, 53(2), 2016, 572–584. (arXiv:1407.6785)

Murillo-Salas, A., Luis Pérez, J. The Backbone Decomposition for Superprocesses with Non-local Branching. In: Mena, R., Pardo, J., Rivero, V., Uribe Bravo, G. (eds). XI Symposium on Probability and Stochastic Processes. Progress in Probability, vol 69, 2015, Birkhäuser, Cham.  (arXiv:1409.3493)

Kyprianou, A. E., Pérez, J. L., Ren, Y. X. The Backbone Decomposition for Spatially Dependent Supercritical Superprocesses. In: Donati-Martin, C., Lejay, A., Rouault, A. (eds) Séminaire de Probabilités XLVI. Lecture Notes in Mathematics, vol 2123. 2014. Springer, Cham. (arXiv:1304.2019).

Kyprianou, A.E., Pardo, J.C., Pérez, J.L. Occupation Times of Refracted Lévy Processes. J Theor Probab 27, 2014, 1292–1315. (arXiv:1205.0756).

Caballero, M. E., Perez, J. L., Uribe Bravo, G.  A Lamperti-type representation of continuous-state branching processes with immigration. Ann. Probab. 41(3A),  2013, 1585-1627. (arXiv:1012.2346).

Kyprianou A. E., Murillo-Salas A, Pérez J. L. An Application of the Backbone Decomposition to Supercritical Super-Brownian Motion with a Barrier. Journal of Applied Probability; 49(3), 2012, 671-684. (arXiv:1108.4356).

Kyprianou A. E., Loeffen R., Pérez J. L. Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes. Journal of Applied Probability; 49(1), 2012, 150-166. (arXiv:1008.2363).

Caballero, M. E., Pardo, J. C.,  Perez, J. L.  Explicit identities for Lévy processes associated to symmetric stable processes. Bernoulli, 17(1), 2011, 34–59. (arXiv:0911.0712)

Caballero, M. E., Pardo, J. C.,  Perez, J. L. On Lamperti stable processes. Probab. Math. Statist. Vol 30, (2010), 1-28. (arXiv:0802.0851)

Pérez, J.L. On Weighted Tempered Moving Averages Processes. Stochastic Models, 24 (S1), 2008, 227-245.